scientific article; zbMATH DE number 1827976
From MaRDI portal
Publication:4781779
zbMath1029.91033MaRDI QIDQ4781779
Mark H. A. Davis, Fabian R. Lischka
Publication date: 13 November 2002
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Related Items (10)
A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes ⋮ A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk ⋮ Pricing Model for Convertible Bonds: A Mixed Fractional Brownian Motion with Jumps ⋮ Two frameworks for pricing defaultable derivatives ⋮ Pricing puttable convertible bonds with integral equation approaches ⋮ Pricing vulnerable claims in a Lévy-driven model ⋮ Number of paths versus number of basis functions in American option pricing ⋮ Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes ⋮ Pricing European vanilla options under a jump-to-default threshold diffusion model ⋮ Defaultable game options in a hazard process model
This page was built for publication: